Gradient flow formulation and longtime behaviour of a constrained Fokker-Planck equation

DOI10.1016/J.NA.2017.04.009MaRDI QIDQ2363305zbMATH OpenOpenAlexFDO

Authors Simon Eberle, André Schlichting, Barbara Niethammer

Publication date 13 July 2017

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.01427

zbMATH Keywords

constrained gradient flowenergy-dissipation relationentropy methodFokker-Planck equation

Mathematics Subject Classification ID

Theoretical approximation in context of PDEs (35A35) Nonlinear parabolic equations (35K55) Fokker-Planck equations (35Q84) Integro-partial differential equations (35R09) Topological dynamics of nonautonomous systems (37B55) Thermodynamic formalism, variational principles, equilibrium states for dynamical systems (37D35)

Abstract: We consider a Fokker-Planck equation which is coupled to an externally given time-dependent constraint on its first moment. This constraint introduces a Lagrange-multiplier which renders the equation nonlocal and nonlinear. In this paper we exploit an interpretation of this equation as a Wasserstein gradient flow of a free energy $mathcalF$ on a time-constrained manifold. First, we prove existence of solutions by passing to the limit in an explicit Euler scheme obtained by minimizing $hmathcalF(varrho)+W_2^2(varrh{o}^0,varrho)$ among all $varrho$ satisfying the constraint for some $varrh{o}^0$ and time-step $h>0$. Second, we provide quantitative estimates for the rate of convergence to equilibrium when the constraint converges to a constant. The proof is based on the investigation of a suitable relative entropy with respect to minimizers of the free energy chosen according to the constraint. The rate of convergence can be explicitly expressed in terms of constants in suitable logarithmic Sobolev inequalities.

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Cited in

(11)

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